Journal
STATISTICS AND COMPUTING
Volume 29, Issue 3, Pages 549-558Publisher
SPRINGER
DOI: 10.1007/s11222-018-9822-6
Keywords
Tempered Levy processes; Tempered stable distributions; Rejection sampling
Funding
- Russian Science Foundation [17-11-01098]
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We extend the idea of tempering stable Levy processes to tempering more general classes of Levy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large jumps. We then use this to set up a rejection sampling algorithm for sampling from the tempered process. A small-scale simulation study is given to help understand the performance of this algorithm.
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